Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 3 | 4 |
| Score | -3.95 | -3.56 | -3.35 |
| Market Cap (Millions USD) | 43689.8 | 43479.84 | 41622.38 |
| Predicted Beta | 1.74 | 1.79 | 1.81 |
| Idiosyncratic Volatility | 1.94 | 3.22 | 4.73 |
Annualized return and volatility
| IWM | |
|---|---|
| Annualized Return | 0.0812 |
| Annualized Std Dev | 0.2289 |
| Annualized Sharpe (Rf=0%) | 0.3547 |
Row
Daily Return Statistics
| IWM | |
|---|---|
| Observations | 5010.0000 |
| NAs | 104.0000 |
| Minimum | -0.1124 |
| Quartile 1 | -0.0068 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0081 |
| Maximum | 0.0864 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0144 |
| Skewness | -0.1508 |
| Kurtosis | 4.6255 |
Downside Risk
| IWM | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0105 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.5864 |
| Historical VaR (95%) | -0.0224 |
| Historical ES (95%) | -0.0330 |
| Modified VaR (95%) | -0.0226 |
| Modified ES (95%) | -0.0373 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2011-02-08 | -0.5864 | 917 | 426 | 491 |
| 2000-07-18 | 2002-10-09 | 2003-10-13 | -0.3867 | 828 | 568 | 260 |
| 2011-05-02 | 2011-10-03 | 2012-09-13 | -0.2891 | 352 | 109 | 243 |
| 2018-09-04 | 2018-12-24 | NA | -0.2681 | 336 | 79 | NA |
| 2015-06-24 | 2016-02-11 | 2016-11-11 | -0.2568 | 357 | 164 | 193 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 2.3 | 0.0 | -0.7 | 0.8 | 0.0 | 0.1 | 2.2 | 0.0 | 4.8 |
| 2001 | 0.7 | 0.7 | 0.0 | 1.2 | 1.2 | 0.0 | 1.5 | 0.0 | -0.5 | 1.8 | 0.0 | 0.0 | 6.8 |
| 2002 | -0.6 | 2.5 | 0.1 | 0.7 | 0.0 | -2.0 | -1.5 | 0.0 | 3.2 | 2.3 | 0.0 | 0.0 | 4.7 |
| 2003 | 0.0 | 0.0 | 1.7 | -0.1 | 0.0 | 0.7 | -1.4 | 0.0 | 2.7 | 0.0 | 1.3 | 0.0 | 4.9 |
| 2004 | 0.0 | 1.6 | 1.1 | 0.0 | 1.0 | -1.8 | 0.0 | 1.8 | 2.5 | 0.8 | 0.9 | 0.0 | 8.0 |
| 2005 | 0.6 | 0.8 | -0.4 | 0.0 | 1.1 | 0.4 | 0.0 | 0.0 | 0.0 | 0.5 | 1.6 | 0.0 | 4.7 |
| 2006 | 1.0 | 1.8 | 0.0 | -1.2 | 1.9 | 0.0 | -1.6 | 0.1 | 0.0 | -2.2 | -0.4 | 0.0 | -0.5 |
| 2007 | 1.1 | -0.5 | 0.0 | 0.4 | 0.5 | 0.0 | 0.5 | 0.0 | 2.5 | -3.9 | 0.0 | 0.0 | 0.5 |
| 2008 | 2.4 | 0.0 | 3.7 | 1.7 | 0.0 | 0.1 | 0.1 | 0.0 | -1.4 | 0.0 | -11.2 | 0.0 | -5.4 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.6 | 3.9 | 1.5 | 0.0 | -2.2 | -3.0 | 0.0 | 1.5 | 0.0 | 4.0 |
| 2010 | 1.2 | 2.3 | 0.9 | 0.0 | -3.0 | -0.7 | 0.0 | 3.9 | 0.5 | -0.7 | 2.2 | 0.0 | 6.7 |
| 2011 | 2.3 | -2.0 | 0.4 | 0.0 | -3.2 | 1.6 | -0.7 | -2.1 | 0.0 | -3.5 | -0.7 | 0.0 | -7.9 |
| 2012 | 2.2 | 0.5 | 0.0 | 0.1 | -3.0 | 0.0 | -1.6 | 0.0 | 0.3 | 1.1 | 0.0 | 0.0 | -0.6 |
| 2013 | 0.9 | 0.5 | -1.3 | -2.4 | 0.0 | 1.6 | 1.4 | 0.0 | 1.2 | -0.4 | 0.0 | 0.0 | 1.2 |
| 2014 | 0.0 | 0.0 | 1.3 | 0.0 | 0.0 | 1.0 | -0.5 | 0.0 | -1.4 | 0.0 | -1.6 | 0.0 | -1.2 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.7 | 0.3 | 0.3 | 0.0 | -2.9 | -0.2 | 0.0 | 0.7 | 0.0 | -1.1 |
| 2016 | -0.5 | 2.2 | 0.4 | 0.0 | 0.7 | 0.4 | 0.1 | 0.1 | 0.0 | -1.2 | -0.5 | 0.0 | 1.6 |
| 2017 | -0.1 | 1.8 | 0.0 | 0.6 | 1.9 | 0.0 | 0.2 | 0.6 | 0.0 | -0.7 | -0.4 | 0.0 | 4.0 |
| 2018 | 0.3 | -0.3 | 0.0 | 0.5 | 0.7 | 0.0 | -0.1 | 0.0 | -1.3 | 2.3 | 0.0 | 0.0 | 2.1 |
| 2019 | 0.1 | 0.9 | 1.1 | -0.9 | 0.0 | 0.4 | -1.4 | 0.0 | -2.0 | 1.7 | 0.0 | 0.2 | 0.0 |
Row
Rolling Performance Chart
Snail Trail Chart
